Gap short report

Rows: 32066, Dates: 3106, Direction: short

Performance summary

Overall win rate: 76.25%  |  Profit factor: 6.11

5-day performance by year

Year Trades Win Rate % Profit Factor Avg MFE % Avg MAE %
2013 931 71.54 5.47 5.11 5.34
2014 1170 73.33 5.99 6.14 5.87
2015 1859 72.94 5.74 7.55 6.83
2016 1876 72.71 5.03 8.51 7.45
2017 1406 74.54 5.95 6.81 6.84
2018 1897 76.75 6.99 7.47 7.31
2019 1629 68.26 4.51 5.72 5.92
2020 7604 71.73 4.60 8.71 8.84
2021 3086 74.04 5.84 8.76 7.78
2022 3896 68.63 3.96 6.96 7.37
2023 2273 69.38 4.38 5.59 5.62
2024 2531 54.09 2.44 6.14 5.56
2025 1908 61.48 3.29 8.81 5.35

10-day performance by year

Year Trades Win Rate % Profit Factor Avg MFE % Avg MAE %
2013 931 76.26 6.97 7.38 6.77
2014 1170 80.00 8.42 8.07 8.01
2015 1859 78.81 7.78 10.29 9.31
2016 1876 78.20 6.80 12.75 10.17
2017 1406 80.16 8.01 9.42 9.20
2018 1897 82.08 9.91 10.77 9.99
2019 1629 74.03 5.85 7.87 8.07
2020 7604 77.60 6.24 12.76 11.60
2021 3086 81.79 8.81 12.36 10.99
2022 3896 75.03 5.36 12.46 10.00
2023 2273 75.71 5.65 7.58 7.64
2024 2531 62.82 3.43 8.54 7.63
2025 1908 69.39 4.36 12.25 7.75

Daily retracement rates

Monthly win rates

Monthly win rate (5d vs 10d)

Gap size distribution

Retracement rate by gap bucket (10d)

Win rate vs gap size

Win rate vs distance to AVWAP

Win rate: above vs below 330-SMA

Win rate by distance to 330-SMA

Win rate vs SPY daily change

Expected P&L (10k/trade) — Equity Curve

Total expected P&L 5d: $11,180,230  |  10d: $12,327,218

Gap size vs 10d retrace %

SPY vs 10d retrace rate (by day)

Top 20 by 10d MFE%

ticker date gap_up_percent mfe_percent_10d mae_percent_10d retrace_percentage_10d
HKD 2022-07-19 14.17 10170.50 26.49 185.94
NRGD 2022-11-28 7.28 1241.95 7.69 322.19
GME 2021-01-19 17.04 1127.13 8.38 526.20
GME 2021-01-14 21.31 1110.22 14.78 70.26
NRGD 2022-11-18 5.60 1107.76 6.97 208.66
LIN 2014-12-15 6.47 583.81 6.11 247.12
PHUN 2019-01-08 23.42 547.06 11.76 83.35
GME 2021-01-25 48.79 528.99 33.47 260.59
DRIP 2020-02-24 12.85 442.56 1.97 0.00
LCFYW 2025-01-22 24.89 386.63 1.39 195.18
UVXY 2020-03-05 13.51 370.22 -14.18 0.00
GME 2021-02-22 15.03 358.41 13.04 218.69
CANF 2015-09-15 5.88 356.40 5.81 203.68
JAGX 2018-09-17 7.41 354.55 9.09 388.08
GME 2021-02-18 5.55 353.87 5.38 357.22
ERY 2020-03-05 8.10 343.86 -7.69 0.00
SHIP 2016-11-07 8.16 321.95 2.44 188.98
SHIP 2016-11-08 12.20 321.95 2.44 624.19
BIOC 2015-02-12 5.00 312.61 0.00 186.39
DRIP 2020-02-28 13.18 312.32 7.79 129.87